Barclays

Barclays

QA Macro Muni Quant AVP

New York, 745 7th Avenue

Sponsorship not specifiedDetected 12 days ago
PythonC++Machine LearningLeadershipCollaboration

About the role

  • Assistant Vice President Expectations - To advise and influence decision making, contribute to policy development and take responsibility for operational effectiveness.
  • All colleagues will be expected to demonstrate the Barclays Values of Respect, Integrity, Service, Excellence and Stewardship - our moral compass, helping us do what we believe is right.
  • Salary / Rate Minimum/yr: $150,000 per year Salary / Rate Maximum/yr: $225,000 per year The minimum and maximum salary/rate information above include only base salary or base hourly rate.

Responsibilities

  • Maintain and improve Muni derivatives models in the C++ analytics library and extend them to support SOFR index products.
  • Liaise with US Municipal derivatives trading desk on issues ranging from risk management, ad-hoc product analysis, production rollout, desk support and library release.
  • Develop python-based scripts that interfaces with C++ pricing library to deliver analytics to end users.
  • Support the Muni Derivatives desk including short rate model daily global calibration, PL explaining resolution and model reconciliation.
  • Improve and maintain Muni Total Return Swap pricing, infrastructure and maintain US Municipal Cash analytics.
  • Develop and maintain dialogue with colleagues, model owners, validation teams and other external stakeholders on model developments, reviews, rollout, maintenance and usage.

Requirements

  • Collaboration with technology to specify any dependencies required for analytical solutions, such as data, development environments and tools.
  • They will identify new directions for assignments and/ or projects, identifying a combination of cross functional methodologies or practices to meet required outcomes.

Compensation

  • The minimum and maximum salary/rate information above include only base salary or base hourly rate.
  • It does not include any other type of compensation or benefits that may be available.
  • $150,000 per year
  • $225,000 per year
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This listing is sourced directly from Barclays's careers page and normalized into a canonical job model.